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Merge pull request #2642 from hroff-1902/fix-hyperopt-trailing

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Fix generation of hyperopt trailing params
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Matthias 2019-12-11 19:53:42 +01:00 committed by GitHub
commit f44e3dc319
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3 changed files with 30 additions and 11 deletions
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13
freqtrade/optimize/hyperopt.py
View File

@ -183,8 +183,7 @@ class Hyperopt:
result['stoploss'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('stoploss')}
if self.has_space('trailing'):
result['trailing'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('trailing')}
result['trailing'] = self.custom_hyperopt.generate_trailing_params(params)
return result
@ -359,13 +358,13 @@ class Hyperopt:
self.backtesting.strategy.stoploss = params_dict['stoploss']
if self.has_space('trailing'):
self.backtesting.strategy.trailing_stop = params_dict['trailing_stop']
self.backtesting.strategy.trailing_stop_positive = \
params_dict['trailing_stop_positive']
d = self.custom_hyperopt.generate_trailing_params(params_dict)
self.backtesting.strategy.trailing_stop = d['trailing_stop']
self.backtesting.strategy.trailing_stop_positive = d['trailing_stop_positive']
self.backtesting.strategy.trailing_stop_positive_offset = \
params_dict['trailing_stop_positive_offset']
d['trailing_stop_positive_offset']
self.backtesting.strategy.trailing_only_offset_is_reached = \
params_dict['trailing_only_offset_is_reached']
d['trailing_only_offset_is_reached']
processed = load(self.tickerdata_pickle)

24
freqtrade/optimize/hyperopt_interface.py
View File

@ -174,6 +174,19 @@ class IHyperOpt(ABC):
Real(-0.35, -0.02, name='stoploss'),
]
@staticmethod
def generate_trailing_params(params: Dict) -> Dict:
"""
Create dict with trailing stop parameters.
"""
return {
'trailing_stop': params['trailing_stop'],
'trailing_stop_positive': params['trailing_stop_positive'],
'trailing_stop_positive_offset': (params['trailing_stop_positive'] +
params['trailing_stop_positive_offset_p1']),
'trailing_only_offset_is_reached': params['trailing_only_offset_is_reached'],
}
@staticmethod
def trailing_space() -> List[Dimension]:
"""
@ -190,8 +203,15 @@ class IHyperOpt(ABC):
# other 'trailing' hyperspace parameters.
Categorical([True], name='trailing_stop'),
Real(0.02, 0.35, name='trailing_stop_positive'),
Real(0.01, 0.1, name='trailing_stop_positive_offset'),
Real(0.01, 0.35, name='trailing_stop_positive'),
# 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive',
# so this intermediate parameter is used as the value of the difference between
# them. The value of the 'trailing_stop_positive_offset' is constructed in the
# generate_trailing_params() method.
# # This is similar to the hyperspace dimensions used for constructing the ROI tables.
Real(0.001, 0.1, name='trailing_stop_positive_offset_p1'),
Categorical([True, False], name='trailing_only_offset_is_reached'),
]

4
tests/optimize/test_hyperopt.py
View File

@ -636,7 +636,7 @@ def test_generate_optimizer(mocker, default_conf) -> None:
'stoploss': -0.4,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.1,
'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False,
}
response_expected = {
@ -670,7 +670,7 @@ def test_generate_optimizer(mocker, default_conf) -> None:
'trailing': {'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.1}},
'trailing_stop_positive_offset': 0.07}},
'params_dict': optimizer_param,
'results_metrics': {'avg_profit': 2.3117,
'duration': 100.0,